Related papers: Approximation of Invariant Measures for Regime-Swi…
We study ergodic properties of a class of Markov-modulated general birth-death processes under fast regime switching. The first set of results concerns the ergodic properties of the properly scaled joint Markov process with a parameter that…
The present study utilizes the Girsanov transformation based framework for solving a nonlinear stochastic dynamical system in an efficient way in comparison to other available approximate methods. In this approach, a rejection sampling is…
We investigate the long-time behavior of solutions to a stochastically forced one-dimensional Navier-Stokes system, describing the motion of a compressible viscous fluid, in the case of linear pressure law. We prove existence of an…
In this article we prove the existence of Bernstein processes which we associate in a natural way with a class of linear parabolic initial-and final boundary value problems defined in bounded convex subsets of Euclidean space of arbitrary…
The celebrated Sutherland-Einstein relation for systems at thermal equilibrium states that spread of trajectories of Brownian particles is an increasing function of temperature. Here, we scrutinize diffusion of underdamped Brownian motion…
In the present work, we explore homogenization techniques for a class of switching diffusion processes whose drift and diffusion coefficients, and jump intensities are smooth, spatially periodic functions; we assume full coupling between…
Let $M$ be a compact connected Riemannian manifold possibly with a boundary, let $V\in C^2(M)$ such that $\mu(d x):=e^{V(x)}d x$ is a probability measure, and let $\{\lambda_i\}_{i\ge 1} $ be all non-trivial eigenvalues of $-L$ with Neumann…
This work is devoted to examining qualitative properties of dynamic systems, in particular, limit cycles of stochastic differential equations with both rapid switching and small diffusion. The systems are featured by multi-scale…
We consider the Euler-Maruyama approximation for multi-dimensional stochastic differential equations with irregular coefficients. We provide the rate of strong convergence where the possibly discontinuous drift coefficient satisfies a…
We consider a collection of weakly interacting diffusion processes moving in a two-scale locally periodic environment. We study the large deviations principle of the empirical distribution of the particles' positions in the combined limit…
We review the time evolution of wavepackets at the metal-insulator transition in two- and three-dimensional disordered systems. The importance of scale invariance and multifractal eigenfunction fluctuations is stressed. The implications of…
We study the limiting behavior of smooth linear statistics of the spectrum of random permutation matrices in the mesoscopic regime, when the permutation follows one of the Ewens measures on the symmetric group. If we apply a smooth enough…
Understanding the physics of the integrable spin-1/2 XXZ chain has witnessed substantial progress, due to the development and application of sophisticated analytical and numerical techniques. In particular, infinite-temperature…
We study the empirical process arising from a multi-dimensional diffusion process with periodic drift and diffusivity. The smoothing properties of the generator of the diffusion are exploited to prove the Donsker property for certain…
We investigate the existence and uniqueness of strong solutions up to an explosion time for regime-switching diffusion processes in an infinite state space. Instead of concrete conditions on coefficients, our existence and uniqueness result…
Donsker Theorem is perhaps the most famous invariance principle result for Markov processes. It states that when properly normalized, a random walk behaves asymptotically like a Brownian motion. This approach can be extended to general…
This work develops asymptotic properties of a class of switching jump diffusion processes. The processes under consideration may be viewed as a number of jump diffusion processes modulated by a random switching mechanism. The underlying…
The results of this paper build upon those first obtained by Sznitman and Zeitouni in [11]. We establish, for spacial dimensions greater than two, the existence of a unique invariant measure for isotropic diffusions in random environment…
Although generative diffusion models (GDMs) are widely used in practice, their theoretical foundations remain limited, especially concerning the impact of different discretization schemes applied to the underlying stochastic differential…
This paper uses the generator approach of Stein's method to analyze the gap between steady-state distributions of Markov chains and diffusion processes. Until now, the standard way to invoke Stein's method for this problem was to use the…